The Fisher puzzle, real rate anomaly, and Wicksell effect Academic Article

abstract

• 2019 Elsevier B.V. We study the relationships between interest and inflation rates using a simultaneous equation approach that takes into account both Fisher and Wicksell effects. Extending previous work, a statespace representation is used to estimate time-varying ex post Fisher and Wicksell equation effects. We subsequently recover ex ante interest and inflation rate series. Using these ex ante rate series, we estimate an ex ante Fisher equation, including both time-varying intercept estimates of the ex ante real interest rates and time-varying Fisher coefficients. Our results for the U.S. and three other countries support the Fisher propositions after taking into account Wicksell effects.

authors

• Kolari, James

published proceedings

• JOURNAL OF EMPIRICAL FINANCE

author list (cited authors)

• Anari, A., & Kolari, J.

citation count

• 3

complete list of authors

• Anari, Ali||Kolari, James

publication date

• June 2019

publisher

• Elsevier  Publisher

published in

• Journal of Empirical Finance  Journal

keywords

• Fisher And Wicksell Coefficients
• Inflation
• Interest Rates
• Real Interest Rates

Digital Object Identifier (DOI)

• 10.1016/j.jempfin.2019.03.003

start page

• 128

end page

• 148

volume

• 52

issue

• 3092298

URL

• http://dx.doi.org/10.1016/j.jempfin.2019.03.003